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8-ETF Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

8-ETF Portfolio

Last updated Oct 16, 2024

Asset Allocation

AVUV 12.5%CALF 12.5%COWZ 12.5%IYW 12.5%VGT 12.5%XSVM 12.5%SYLD 12.5%SCHX 12.5%EquityEquity
PositionCategory/SectorWeight
AVUV
Avantis U.S. Small Cap Value ETF		Small Cap Value Equities, Actively Managed
12.50%
CALF
Pacer US Small Cap Cash Cows 100 ETF		Small Cap Blend Equities
12.50%
COWZ
Pacer US Cash Cows 100 ETF		All Cap Equities
12.50%
IYW
iShares U.S. Technology ETF		Technology Equities
12.50%
SCHX
Schwab U.S. Large-Cap ETF		Large Cap Growth Equities
12.50%
SYLD
Cambria Shareholder Yield ETF		All Cap Equities, Actively Managed
12.50%
VGT
Vanguard Information Technology ETF		Technology Equities
12.50%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		Small Cap Value Equities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 8-ETF Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
10.32%
15.12%
8-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2019, corresponding to the inception date of AVUV

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		21.92%3.36%15.12%32.96%14.22%11.94%
8-ETF Portfolio13.20%4.03%10.32%27.73%19.19%N/A
Portfolio components:
AVUV
Avantis U.S. Small Cap Value ETF		9.43%4.70%11.60%28.47%16.01%N/A
CALF
Pacer US Small Cap Cash Cows 100 ETF		-2.42%3.14%1.56%14.92%14.85%N/A
COWZ
Pacer US Cash Cows 100 ETF		13.27%3.37%6.30%19.18%17.53%N/A
IYW
iShares U.S. Technology ETF		25.82%4.99%17.49%41.63%24.99%21.59%
VGT
Vanguard Information Technology ETF		23.98%5.03%18.50%40.47%23.36%21.71%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		2.91%2.61%3.82%18.74%14.35%11.11%
SYLD
Cambria Shareholder Yield ETF		9.14%4.67%5.55%20.62%17.39%12.77%
SCHX
Schwab U.S. Large-Cap ETF		22.91%3.70%15.86%36.14%17.91%16.10%

Monthly Returns

The table below presents the monthly returns of 8-ETF Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.35%4.10%4.04%-5.54%4.55%0.14%5.70%-1.42%0.96%13.20%
20239.34%-1.38%-0.18%-0.98%0.15%8.87%6.06%-2.19%-3.51%-3.61%9.22%7.64%31.82%
2022-4.57%-0.25%1.84%-7.56%1.67%-11.53%10.49%-3.60%-10.52%11.65%5.74%-7.15%-15.79%
20217.20%5.36%6.99%3.72%2.67%1.66%-0.18%2.97%-3.31%5.16%-0.15%3.93%41.87%
2020-3.06%-8.94%-18.95%16.30%5.50%4.60%4.36%8.16%-3.54%-0.67%16.11%6.04%22.26%
2019-0.03%2.67%4.59%3.44%11.05%

Expense Ratio

8-ETF Portfolio features an expense ratio of 0.36%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

CALF
Pacer US Small Cap Cash Cows 100 ETF
Expense ratio chart for CALF: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
SYLD
Cambria Shareholder Yield ETF
Expense ratio chart for SYLD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
COWZ
Pacer US Cash Cows 100 ETF
Expense ratio chart for COWZ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
IYW
iShares U.S. Technology ETF
Expense ratio chart for IYW: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
XSVM
Invesco S&P SmallCap Value with Momentum ETF
Expense ratio chart for XSVM: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
AVUV
Avantis U.S. Small Cap Value ETF
Expense ratio chart for AVUV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
VGT
Vanguard Information Technology ETF
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
SCHX
Schwab U.S. Large-Cap ETF
Expense ratio chart for SCHX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 8-ETF Portfolio is 28, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of 8-ETF Portfolio is 2828
Combined Rank
The Sharpe Ratio Rank of 8-ETF Portfolio is 1717Sharpe Ratio Rank
The Sortino Ratio Rank of 8-ETF Portfolio is 1818Sortino Ratio Rank
The Omega Ratio Rank of 8-ETF Portfolio is 1717Omega Ratio Rank
The Calmar Ratio Rank of 8-ETF Portfolio is 6262Calmar Ratio Rank
The Martin Ratio Rank of 8-ETF Portfolio is 2424Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

8-ETF Portfolio
Sharpe ratio
The chart of Sharpe ratio for 8-ETF Portfolio, currently valued at 1.86, compared to the broader market0.002.004.001.86
Sortino ratio
The chart of Sortino ratio for 8-ETF Portfolio, currently valued at 2.56, compared to the broader market-2.000.002.004.006.002.56
Omega ratio
The chart of Omega ratio for 8-ETF Portfolio, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for 8-ETF Portfolio, currently valued at 2.87, compared to the broader market0.002.004.006.008.0010.0012.002.87
Martin ratio
The chart of Martin ratio for 8-ETF Portfolio, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0040.0050.0010.43
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.74, compared to the broader market0.002.004.002.74
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.66, compared to the broader market-2.000.002.004.006.003.66
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.43, compared to the broader market0.002.004.006.008.0010.0012.002.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.81, compared to the broader market0.0010.0020.0030.0040.0050.0016.81
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AVUV
Avantis U.S. Small Cap Value ETF		1.462.121.262.437.17
CALF
Pacer US Small Cap Cash Cows 100 ETF		0.761.241.141.152.72
COWZ
Pacer US Cash Cows 100 ETF		1.462.141.252.446.12
IYW
iShares U.S. Technology ETF		2.042.611.352.689.19
VGT
Vanguard Information Technology ETF		2.012.591.352.769.80
XSVM
Invesco S&P SmallCap Value with Momentum ETF		0.971.511.181.143.83
SYLD
Cambria Shareholder Yield ETF		1.412.041.242.286.15
SCHX
Schwab U.S. Large-Cap ETF		2.983.941.543.4718.30

Sharpe Ratio

The current 8-ETF Portfolio Sharpe ratio is 1.86. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.21 to 2.98, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 8-ETF Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.86
2.74
8-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

8-ETF Portfolio granted a 1.35% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
8-ETF Portfolio1.35%1.49%1.67%1.67%1.53%1.54%1.86%1.29%1.66%1.93%1.26%0.82%
Portfolio components:
AVUV
Avantis U.S. Small Cap Value ETF		1.61%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%0.00%
CALF
Pacer US Small Cap Cash Cows 100 ETF		1.06%1.18%0.85%2.63%0.82%0.99%1.39%0.70%0.00%0.00%0.00%0.00%
COWZ
Pacer US Cash Cows 100 ETF		1.88%1.92%1.96%1.48%2.54%1.96%1.67%1.95%0.13%0.00%0.00%0.00%
IYW
iShares U.S. Technology ETF		0.32%0.40%0.50%0.31%0.56%0.72%0.91%0.82%1.13%1.12%1.13%1.06%
VGT
Vanguard Information Technology ETF		0.63%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
XSVM
Invesco S&P SmallCap Value with Momentum ETF		1.65%1.31%1.79%1.23%1.21%1.21%2.54%1.90%2.29%2.68%1.31%1.15%
SYLD
Cambria Shareholder Yield ETF		1.81%1.92%2.20%2.22%1.99%2.08%2.52%1.48%1.92%6.45%3.89%0.82%
SCHX
Schwab U.S. Large-Cap ETF		1.87%2.86%3.41%3.61%3.11%3.86%4.56%2.46%6.49%3.94%2.60%2.50%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.79%
-0.76%
8-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 8-ETF Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the 8-ETF Portfolio was 38.88%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.

The current 8-ETF Portfolio drawdown is 0.79%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.88%Jan 21, 202044Mar 23, 2020107Aug 24, 2020151
-24.66%Nov 17, 2021219Sep 30, 2022199Jul 19, 2023418
-10.19%Aug 1, 202363Oct 27, 202324Dec 1, 202387
-9.63%Sep 3, 202014Sep 23, 202012Oct 9, 202026
-9.4%Jul 17, 202416Aug 7, 202446Oct 11, 202462

Volatility

Volatility Chart

The current 8-ETF Portfolio volatility is 3.69%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%3.00%4.00%5.00%6.00%7.00%8.00%MayJuneJulyAugustSeptemberOctober
3.69%
3.01%
8-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
IYWVGTXSVMSCHXCOWZSYLDCALFAVUV
IYW1.000.990.460.890.550.510.540.51
VGT0.991.000.500.910.580.540.570.55
XSVM0.460.501.000.680.850.930.940.94
SCHX0.890.910.681.000.770.730.730.74
COWZ0.550.580.850.771.000.920.880.90
SYLD0.510.540.930.730.921.000.920.95
CALF0.540.570.940.730.880.921.000.95
AVUV0.510.550.940.740.900.950.951.00
The correlation results are calculated based on daily price changes starting from Sep 27, 2019